Selected Empirical Results on Portfolio Optimization
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094583" target="_blank" >RIV/61989100:27510/15:86094583 - isvavai.cz</a>
Result on the web
<a href="https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf" target="_blank" >https://ece.pefka.mendelu.cz/sites/default/files/imce/ece_2015_final.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Selected Empirical Results on Portfolio Optimization
Original language description
The development in the portfolio theory goes hand in hand with the increase of computer's computational power, which allows to apply more complex performance ratios and obtain the results in the reasonable time. The most known performance ratio is Sharpe ratio formulated in 1966 by William F. Sharpe in order to measure the performance of mutual funds. Since then, many new performance ratios were proposed. In the paper we focus on mean absolute deviation (MAD) ratio and Rachev ratio. Although these ratios were proposed to improve the portfolio allocation, we empirically demonstrate that this need not be necessarily true. On the historical dataset of DJIA components we empirically show that both Sharpe ratio and MAD ratio outperform the Rachev ratio. In the paper we assume two datasets – composition of DJIA as of the beginning of analyzed period (the correct dataset) and as of the end of analyzed period (incorrect dataset) and quantify the influence of a survivorship bias.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
18 Annual International Conference Enterprise and Competitive Environment Conference Proceedings
ISBN
978-80-7509-342-4
ISSN
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e-ISSN
neuvedeno
Number of pages
10
Pages from-to
422-431
Publisher name
Mendelova univerzita v Brně
Place of publication
Brno
Event location
Brno
Event date
Mar 5, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000380464000047